Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212100 
Year of Publication: 
2008
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 9/2008
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper introduces a methodology for identifying oil supply shocks in a restricted VAR system for a small open economy. Financial market information is used to construct an identification scheme that forces the response of the restricted VAR model to an oil shock to be the same as that implied by futures markets. Impulse responses are then calculated by using a bootstrapping procedure for partial identification. The methodology is applied to Finland and Sweden in illustrative examples in a simple 5-variable model. While oil supply shocks have an inflationary effect on domestic inflation in these countries during the past decade or so, the effect on domestic GDP is more ambiguous.
Subjects: 
oil futures
partial identification
macroeconomic shocks
JEL: 
C01
E32
E44
Persistent Identifier of the first edition: 
ISBN: 
978-952-462-435-0
Document Type: 
Working Paper

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